VMware allows you to create virtual machines on your hard drive. So, you can get VMware for Windows and install it. Then, in VMware, you can install a guest system - another Windows system, a Linux system of several different flavours (I have RedHat, SuSE and Ubunu machines). Once the guest systems are running, you can run them simulaneously with Windows (the host system).

You can also buy VMware for Linux, use Linux as your host system and run Windows as a guest system.

The key benefit to VMware is that you can run several different systems simultaneously.

There are other programs like VMware, but VMware is one of the most robust in my opinion.
.... T